Browsing by Author "Ta, Quoc Bao"
Now showing items 1-5 of 5
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Application Garch-Evt-Copula For Estimation Of Value At Risk
Tran, Minh Tuyen (2020)Value at Risk (VaR) is widely used risk measure in risk management. It is defined as the maximum probable loss on a given portfolio under normal circumstances, commonly accepted as a standard measure of market risk. In ... -
The Black Litterman Model For Portfolio Optimization
Vuong, Thi Minh Thao (2020)In this thesis we exploit the Black-Litterman model to practice on the Vietnam stock market that using historical price data over 5-year period from January 2015 to October 2019. The model allows investors to express ... -
Estimating Value At Risk Of Portfolio By Garch-Copula Method
Nguyen, Truong Ngan (2020)Facing the losses and the harmful agents that investors must suffer. The task that we identify, measure and control risks in order to prevent and minimize these risks alway important. The topic \Estimating Value at Risk ... -
Machine Learning Application In Credit Scoring For Vietnam's Retail Loan
Pham, Hoang Hong Phuc (2020)The role of credit scoring in lending decisions can not be overemphasized for financial institutions and the economy at large. An accurate and well-performing credit scorecard allows lenders to control their risk exposure ... -
Optimal Bank Net Interest Margin By Government Bonds: A Modern Portfolio Approach
Pham, Thi Ngoc Huyen (2020)The business model of bank is based on borrowing and lending on the balance sheet. The bank makes a profit by way of borrowing at a lower rate and lending at a higher rate. A crucial task in each bank’s operation is to ...